They are called "Jump Lists" and can contain almost anything, not just an MRU list. It is a Windows 7+-only feature so I suggest you consult Microsoft's documentation as to how this is done... The MRU component of the Jump List seems to be at least partly automatic if you use the SHAddToRecentDocs API call.
http://msdn.microsoft.com/en-us/libr.../gg281362.aspx
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